The order of selecting rails vs profiles should not matter. You can select the rails first, then the profiles, or the other way around. Or, you can mix and match. One profile, one rail, another profile, etc. If there are cases where that does not work, then that's a bug.
What does matter is the order the profiles are selected. There is a reason for this. In a case like this, where there are 3 profiles, the order of selection is used to disambiguate between several possible results. If you pick that "middle" section last, loft will think you are trying to create a different loft - in your case, one that goes from the left horizontal profile, then to the right, then to the middle. That loft might not be possible, but that's what you are telling it to do.
Finally, is loft even the right tool to use here? Are all the profiles the same size? If so, I'd just use Sweep on this case and not bother with Loft at all.
Jeff
Jeff Strater
Engineering Director